Suppose you've built up a position in MNQ that is somewhat larger than the quantity at the top of the order book. Say, 60+ contracts.

Has anyone seen a good approach for exiting that balances getting out quickly with not getting killed by slippage? I don't mind an occasional fill that is worse than market as long as the approach does better than a simple market exit on average.

brach 

Suppose you've built up a position in MNQ that is somewhat larger than the quantity at the top of the order book. Say, 60+ contracts. Has anyone seen a good approach for exiting that balances getting out quickly with not getting killed by slippage? I don't mind an occasional fill that is worse than market as long as the approach does better than a simple market exit on average.

Try feeding 1 lot market orders every few seconds. You'll have risk of price rapidly changing due to market, but I doubt your 1 lots would move things at all.

JohnTCHT 

One lot order would have no effect on the NASDAQ market. Volatility in MNQ is high so placing numerous contracts in a buy or sell is very risky. Personally, I find anything with the NASDAQ is risky other than sniping a point or two at a time with good signals from a reliable program. Personally, I like Apex Investing. I think trading the MES or ES is a better deal with somewhat lower volatility. Also, with Ninja on the MES, you need three ticks just to avoid a loss as each tick is only 50 cents.

No, you are thinking of MYM (Micro Dow). MES is $5 per point or 1.25 per tick. Dow (YM) is $5 and MYM is o.50 (each tick on YM/MYM is one point)